On forward and backward SPDEs with non-local boundary conditions

DOI10.3934/DCDS.2015.35.5335zbMATH Open1334.60108arXiv1307.8223OpenAlexW2964119001MaRDI QIDQ255495FDOQ255495

Nikolai Dokuchaev

Publication date: 9 March 2016

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Abstract: We study linear stochastic partial differential equations of parabolic type with non-local in time or mixed in time boundary conditions. The standard Cauchy condition at the terminal time is replaced by a condition that mixes the random values of the solution at different times, including the terminal time, initial time and continuously distributed times. For the case of backward equations, this setting covers almost surely periodicity. Uniqueness, solvability and regularity results for the solutions are obtained. Some possible applications to portfolio selection are discussed.

Full work available at URL: https://arxiv.org/abs/1307.8223

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zbMATH Keywords

stochastic partial differential equationsnon-local conditionsperiodic conditionsportfolio selection

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Portfolio theory (91G10) PDEs with randomness, stochastic partial differential equations (35R60) Local time and additive functionals (60J55) Financial applications of other theories (91G80)

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Cited In (6)

• On backward SPDEs without proper Cauchy condition
• On degenerate backward SPDEs in bounded domains under non-local conditions
• First Order BSPDEs in Higher Dimension for Optimal Control Problems
• On recovering parabolic diffusions from their time-averages
• Correction on a generalized BSDE involving local time and application to a PDE with nonlinear boundary condition
• Parabolic Ito Equations with Mixed in Time Conditions

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